How to Value GDP-Linked Collar Bonds? An Introductory Perspective

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DOI: 10.4236/tel.2013.33024    4,527 Downloads   6,861 Views  Citations

ABSTRACT

This short paper proposed a pricing method for GDP-linked collar bonds based on the classical discounted pricing model and the assumption that the GDP can be described with a geometric Brownian motion. The estimation of parameters was not discussed because it is not central in our numerical exercise.

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C. Schinckus, "How to Value GDP-Linked Collar Bonds? An Introductory Perspective," Theoretical Economics Letters, Vol. 3 No. 3, 2013, pp. 152-155. doi: 10.4236/tel.2013.33024.

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